06692oam 22012614 450 991097094200332120250426110813.0978147555780014755578099781484384763148438476897814843492811484349288(CKB)2550000001111768(EBL)1588072(SSID)ssj0001104143(PQKBManifestationID)11701121(PQKBTitleCode)TC0001104143(PQKBWorkID)11088394(PQKB)11564261(Au-PeEL)EBL1588072(CaPaEBR)ebr10748310(CaONFJC)MIL511660(OCoLC)856625996(IMF)WPIEE2013168(IMF)WPIEA2013168(MiAaPQ)EBC1588072WPIEA2013168(EXLCZ)99255000000111176820020129d2013 uf 0engur|n|---|||||txtccrSystemic Risk Monitoring ("SysMo") Toolkit—A User Guide /Nicolas Blancher, Srobona Mitra, Hanan Morsy, Akira Otani, Tiago Severo, Laura Valderrama1st ed.Washington, D.C. :International Monetary Fund,2013.1 online resource (81 p.)IMF Working PapersDescription based upon print version of record.9781484383438 1484383435 9781299804098 1299804098 Includes bibliographical references.Cover; Contents; Glossary; B; C; D; E; F; G; J; K; L; M; O; P; S; V; I. Introduction; Figures; 1. Structure of the Guide; II. Approaching Systemic Risk; A. What is Systemic Risk?; B. Key Features of the Toolkit; 2. Buildup of Systemic Risk: Sources and Channels; 3. Unwinding of Systemic Risk: Sources and Channels; III. Mapping Tools to the Territory-A Practical Approach; A. Financial institutions: Is Excessive Risk Building Up in Financial Institutions?; B. Asset Prices: Are Asset Prices Growing Too Fast?; C. Sovereign Risk: How Much is Sovereign Risk a Source of Systemic Risk?D. Broader Economy: What are the Amplification Channels among Sectors and through the Domestic Economy?E. Cross-Border Linkages: What are the Amplification Channels through Cross-Border Spillovers?; F. Crisis Risks: What is the Probability of a Systemic Crisis?; IV. Sample Country Case Study; 4. Systemic Risk Dashboard for a Fictitious Country X at end-2007; V. Key Findings and Operational Implications; Table; 1. Characteristics of Different Systemic Risk Monitoring tools-A Summary; Appendix: Tools Binder; Contents; I. Conditional Value-At-Risk (CoVaR); II. Joint Distress IndicatorsIII. Returns SpilloversIV. Distress Spillovers; V. Market-Based Probability of Default; VI. Debt Sustainability Analysis (DSA); VII. Indicators of Fiscal Stress; VIII. Sovereign Funding Shock Scenarios; IX. Asset Price Models; X. Balance Sheet Approach; XI. Systemic CCA; XII. Cross-Border Interconnectedness; XIII. Cross-border Network Contagion; XIV. Systemic Liquidity Risk Indicator; XV. Regime-Switching Volatility Model; XVI. Financial Soundness Indicators (FSIs); XVII. Bank Health Assessment Tool (HEAT); XVIII. Thresholds Model; XIX. Macro Stress Tests; XX. GDP at RiskXXI. Credit to GDP-Based Crisis Prediction ModelXXII. Crisis Prediction Models; XXIII. DSGE Model; ReferrencesThere has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF for this purpose. It offers detailed and practical guidance on the use of current systemic risk monitoring tools on the basis of six key questions policymakers are likely to ask. It provides "how-to" guidance to select and interpret monitoring tools; a continuously updated inventory of key categories of tools ("Tools Binder"); and suggestions on how to operationalize systemic risk monitoring, including through a systemic risk "Dashboard." In doing so, the project cuts across various country-specific circumstances and makes a preliminary assessment of the adequacy and limitations of the current toolkit.IMF Working Papers; Working Paper ;No. 2013/168Financial risk managementMacroeconomicsAsset pricesimfDeflationimfEconomic & financial crises & disastersimfFinanceimfFinance: GeneralimfFinancial CrisesimfFinancial crisesimfFinancial Institutions and Services: Government Policy and RegulationimfFinancial Institutions and Services: OtherimfFinancial Risk ManagementimfFinancial risk managementimfGeneral Financial Markets: Government Policy and RegulationimfInflationimfMacroeconomicsimfModel Construction and EstimationimfPrice LevelimfPricesimfStress testingimfSystemic risk assessmentimfSystemic riskimfFinancial risk management.Macroeconomics.Asset pricesDeflationEconomic & financial crises & disastersFinanceFinance: GeneralFinancial CrisesFinancial crisesFinancial Institutions and Services: Government Policy and RegulationFinancial Institutions and Services: OtherFinancial Risk ManagementFinancial risk managementGeneral Financial Markets: Government Policy and RegulationInflationMacroeconomicsModel Construction and EstimationPrice LevelPricesStress testingSystemic risk assessmentSystemic risk332.1Blancher Nicolas1815946Mitra Srobona1816380Morsy Hanan1816381Otani Akira1816382Severo Tiago1816060Valderrama Laura1815686DcWaIMFBOOK9910970942003321Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide4372416UNINA